Once on the mega site right-click and download the patch you need.
(EU 1.12.2 patch. This only applies to EU clients). Mangos works with both 12.1 and 12.2 for EU clients.
Download page contains:
wow-1.12.1-to-1.12.2-engb-patch.zip
WoW-1.12.1-to-1.12.2-deDE-patch.zip